It depends on what exactly you mean by "burn." In everyday usage, something burns when a material like organic compounds, hydrogen, or something similar reacts with oxygen. For these materials, the chemical reaction is quite exothermic, meaning it releases a lot of energy into the environment in the form of heat. This heat is enough to turn the gases right around the reaction into plasma - a flame.
If you want a reaction with oxygen, then no, water won't burn. As was stated earlier, water is the product of hydrogen burning, so it's kind of like ash.
If you just want an exothermic reaction, then you can burn water, you just need something other then oxygen for it to react with. Alkali metals like sodium work well.
If you want a plasma like a flame. you just need to heat the water a lot by whatever means. Most material will turn into a plasma if you make them hot enough.